Vu, A.N. orcid.org/0000-0001-7254-8380 and Katsiampa, P. orcid.org/0000-0003-0477-6503 (2024) Non-standard monetary policy measures and bank systemic risk in the Eurozone. Review of Quantitative Finance and Accounting. ISSN 0924-865X
Abstract
Modern central banking offers policymakers innovative tools to safeguard price stability and the normal functioning of the financial system. However, the unintended impact of the implementation of non-standard monetary policy measures, especially on systemic risk, remains underexplored from a microeconomic point of view. This study investigates the effect of non-standard monetary policy measures on systemic risk of listed financial institutions in the Euro area. Our results show the presence of the systemic risk-taking channel of monetary policy, whereby systemic risk increases following further enforcement of non-standard monetary policy measures, with the effect being stronger for smaller and undercapitalised banks. The results are robust to various alternative measures of bank systemic risk and non-standard monetary policy. Our findings bear critical policy implications for financial stability.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © The Author(s) 2024. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/. |
Keywords: | Non-standard monetary policy measures; Bank systemic risk; Risk-taking channel; Eurozone; ECB |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 20 Sep 2024 09:40 |
Last Modified: | 20 Sep 2024 09:40 |
Status: | Published online |
Publisher: | Springer Science and Business Media LLC |
Refereed: | Yes |
Identification Number: | 10.1007/s11156-024-01339-4 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:217454 |